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- W3121170445 abstract "This paper deals with numerical solutions of maximizing ex- pected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point pro- cess. The problem of the agent is to derive the optimal insurance strategy which allows lowering the level of the shocks. This optimization problem is related to a suitable dual stochastic control problem in which the deli- cate boundary constraints disappear. In Mnif (11), the dual value function is characterized as the unique viscosity solution of the corresponding Hamilton Jacobi Bellman Variational Inequality (HJBVI in short). We characterize the optimal insurance strategy by the solution of the variational inequality which could be solved numerically by using an algorithm based on policy iterations." @default.
- W3121170445 created "2021-02-01" @default.
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- W3121170445 date "2012-12-01" @default.
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- W3121170445 title "Numerical methods for optimal insurance demand under marked point processes shocks" @default.
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- W3121170445 doi "https://doi.org/10.31390/cosa.6.4.09" @default.
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